Unfortunately Windows Media Player 12,  already installed with Windows 7, has no support to minimize as toolbar in the taskbar. To enable this bar, just need copy a file from Windows Media Player for Windows Vista. Now I will show how do this:

1. You will need of a dll called wmpband.dll, that come with Windows Vista. If you not own it, download here (2590) (this ZIP contains 32 and 64 bits versions);

2. Copy the file (32 or 64 bits, depends your Windows) to Windows Media Players installation directory, in my case “C:\Program Files\Windows Media Player“;

3. Now check if “Windows Media Player Network Sharing Service service is stopped. To do this, click in Start and, in the search box, type “Services” and click in the respective list item. Look for service and stop it, if running.

4. Open the Command Prompt with administrator privileges. Star > All Programs > Accessories > right click in “Command Prompt” and click “Run as Administrator”.

5. Type command regsvr32C:\Program Files\Windows Media Player\wmpband.dll“, replace the path of the directory where the dll is.

6. Open Windows Media Player and minimize it. Then right click in the taskbar > Toolbars > select Windows Media Player.

6. Abra o Windows Media Player e então o minimize-o. Depois clique com o botão direito na barra de tarefas > Barra de Ferramentas > Windows Media Player.

7. And voilá.

Microsoft should have kept this feature natively, I know people who use this resource, I inclusive.